Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0093
Annualized Std Dev 0.1872
Annualized Sharpe (Rf=0%) 0.0494

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1588
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0050
Maximum 0.2067
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0118
Skewness -0.1499
Kurtosis 36.3580

Downside Risk

Close
Semi Deviation 0.0087
Gain Deviation 0.0088
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5242
Historical VaR (95%) -0.0164
Historical ES (95%) -0.0296
Modified VaR (95%) -0.0111
Modified ES (95%) -0.0111
From Trough To Depth Length To Trough Recovery
2006-12-15 2008-11-20 2010-08-20 -0.5242 926 487 439
2013-01-25 2020-03-18 NA -0.5000 2053 1799 NA
1999-04-26 2000-11-30 2003-05-05 -0.2374 1012 407 605
2004-01-14 2004-05-10 2005-02-11 -0.2270 273 81 192
2006-03-02 2006-06-28 2006-12-13 -0.2083 200 83 117

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.9 -0.9 -1.7 -1.5 1.5 0 0 -0.9 -0.9 0.9 -0.9 0 -5
2000 1.8 0 0.8 0.9 2.7 -0.9 0.8 -0.8 0 0 0 0.9 6.4
2001 -0.4 -2.4 1 1.3 -0.3 0.1 0.4 0.1 -0.3 0 -0.1 0.5 0
2002 0.4 0 -0.9 0.1 0.5 0.4 1 1 0.1 1 -0.7 0.9 4
2003 0.3 0.1 0.1 0.6 -0.4 0.3 -0.9 -0.1 0.5 0.2 -0.1 0.8 1.3
2004 0.4 -1 0 -0.7 -0.2 0.8 0.6 0.1 -0.1 -0.1 0 0.2 0
2005 0.1 -0.3 1.5 0.7 0 0.6 -0.2 1.3 -0.6 1.2 1.3 3.2 9.2
2006 -0.1 0.5 -1 -0.7 1.8 0.1 -2 -0.1 0.1 0.1 -0.2 -0.2 -1.7
2007 1.9 -2.2 0.3 0.6 1 0 -0.8 1.9 1 -0.4 0.8 0 4.1
2008 0.4 -0.5 0.4 0.9 0.1 0 0.2 -0.1 6.4 1.4 -4 1.9 6.9
2009 1.2 -3.4 0.5 -0.4 2.4 0.7 0.3 -0.3 -0.3 -2.4 1.7 -0.1 -0.3
2010 1.4 0.6 0.7 -0.8 -0.5 -0.1 -0.4 0.4 1.2 0 0 1.5 4
2011 0.6 -0.3 1.1 -0.1 -0.2 0.2 2 -0.1 -2.9 0 -0.2 0.3 0.3
2012 1.1 0.8 -0.1 0.5 -0.1 0.5 0.7 0.6 0.7 1.5 0.1 1.7 8.4
2013 -0.5 0.3 0.1 0.7 -3.5 0.9 -0.2 -0.2 0 0.4 0.2 -0.8 -2.6
2014 -0.7 -0.3 -0.2 0.2 0.2 0.4 -0.1 0.4 -0.4 0 -0.4 -0.2 -1.1
2015 -0.7 0.4 0 -0.1 0.6 -0.2 1.1 0 -0.8 0 0.6 0.1 1.1
2016 -0.6 1.5 0.3 0.1 0.4 0.1 -0.1 -0.1 0.6 -0.5 -1.1 0.4 1.1
2017 0.2 -0.2 -0.4 0.5 0.3 -0.3 -0.2 0.5 0 0.2 0 -0.2 0.4
2018 0.2 -1.1 0.5 0.1 0.1 0.3 -0.4 0 0.2 0.6 0.2 -0.2 0.5
2019 0.1 0.3 0.8 0 -0.4 0.4 0.3 -0.2 0 0.7 0.2 0.3 2.6
2020 -0.3 -1.2 -2.7 -0.9 1.2 0.8 0.6 0.3 0.1 -0.1 0.4 0.7 -1.2
2021 -0.1 0.8 0.7 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  7.31 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  7.5  SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  8    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  7.62 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  7.81 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  7.31 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart